We provide a ranking of economics departments in Europe and we discuss the methodsused to obtain it. The JEL CD-ROM serves as a database for a period covering 10years. Journals are ranked using a combination of expert opinions and citation data toproduce a scale from 1 to 10. The publication...

The EGARCH is a popular model for discrete time volatility since it allows for asymmetric effects and naturally ensures positivity even when including exogenous variables. Estimation and inference is usually done via maximum likelihood. Although some progress has been made recently, a complete...

We investigate intradaily seasonal patterns on the distribution of high frequency financial returns. Using quantile regression we show the expansions and shrinks of the probability law through the day for three years of 15 minutes sampled stock returns. Returns are more dispersed and less...

We carry out a nonparametric analysis of financial durations. We make use of an existing algorithm to describe nonparametrically the dynamics of the process in terms of its lagged realizations and of a latent variable, its conditional mean. The devices needed to effectively apply the algorithm...

A new method of estimating a component model for the analysis of financial durations is proposed. The components are long-run dynamics and seasonality. The latter is left unspecified and the former is assumed to fall within the class ofa certain family of parametric functions. The proposed...

We consider the effect of asymmetric information on price formation process in a financial market where private information is held by a market maker. A Bayesian game is proposed in which there is price competition between two market makers with two different information partitions. At each...

We consider the effect of asymmetric information on price formation process in a financial market where private information is held by a market maker. A Byesian game is proposed in which there is price competition between two market makers with two different information partition.

This paper proposes an extension of the standard one-way error components model allowing for heteroscedasticity in both the individual-specific and the general error terms, as well as for unbalanced panel. Onthe grounds of its robustness to distributional misspecification, its robustness to...

The paper deals with the power and robustness of the R/S type tests under contiguous alternatives. We briefly review the long memory models in levels and volatility, and describe the R/S-type tests used to test for the presence of long memory. The empirical power of the tests is investigated...